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Att stå emot stormen: en empirisk studie av nedsiderisk bland hedgefonder under covid-19 och inflationschocken

Andersson, Anton LU (2025) NEKH02 20251
Department of Economics
Abstract
This paper investigates downside risk in Nordic hedge funds during the COVID-19 crisis
of 2020 and the post-pandemic inflation crisis of 2022, comparing them to index funds,
balanced funds, and actively managed equity funds. Value at Risk (VaR) and Expected
Shortfall (ES) are estimated using a non-parametric method based on historical
simulation with a rolling 36-month window. Differences across fund types are tested for
statistical significance using the non-parametric Mann-Whitney U test. In addition, risk-
adjusted performance is evaluated through the Sortino ratio, Sharpe-VaR, and Sharpe-ES
across both crisis periods. The findings show that hedge funds – especially long/short
strategies – exhibited lower downside risk and... (More)
This paper investigates downside risk in Nordic hedge funds during the COVID-19 crisis
of 2020 and the post-pandemic inflation crisis of 2022, comparing them to index funds,
balanced funds, and actively managed equity funds. Value at Risk (VaR) and Expected
Shortfall (ES) are estimated using a non-parametric method based on historical
simulation with a rolling 36-month window. Differences across fund types are tested for
statistical significance using the non-parametric Mann-Whitney U test. In addition, risk-
adjusted performance is evaluated through the Sortino ratio, Sharpe-VaR, and Sharpe-ES
across both crisis periods. The findings show that hedge funds – especially long/short
strategies – exhibited lower downside risk and higher risk-adjusted returns than other
fund types during both crises. In contrast, multi-strategy and fund-of-funds structures
delivered weaker performance. While the overall patterns are robust, statistical
significance varied across comparisons, and in some cases, results appear to have been
influenced by geographic allocation. The results suggest that hedge funds, at least under
certain strategies, fulfill their theoretical role as downside protectors during periods of
market stress. At the same time, the pronounced variation in performance highlights the
heterogeneity within the hedge fund category. Strategy selection – even within the same
fund type – is therefore critical for effective risk management, with important
implications for both investors and policymakers. (Less)
Abstract (Swedish)
Denna studie undersöker nedsiderisken i nordiska hedgefonder under covid-19-krisen
2020 och inflationschocken 2022, i jämförelse med indexfonder, blandfonder och aktivt
förvaltade aktiefonder. Value at Risk (VaR) och Expected Shortfall (ES) estimeras med en
icke-parametrisk metod baserad på historisk simulering med ett rullande fönster på 36
månader. Skillnader mellan fondtyper testas för statistisk signifikans med Mann-Whitney
U-test. Därutöver analyseras riskjusterade avkastningsmått – Sortino-kvoten, Sharpe-
VaR och Sharpe-ES – under båda krisperioderna. Resultaten visar att hedgefonder,
särskilt lång-kort-strategier, uppvisade lägre nedsiderisk och högre riskjusterad
avkastning än övriga fondtyper i båda kriserna.... (More)
Denna studie undersöker nedsiderisken i nordiska hedgefonder under covid-19-krisen
2020 och inflationschocken 2022, i jämförelse med indexfonder, blandfonder och aktivt
förvaltade aktiefonder. Value at Risk (VaR) och Expected Shortfall (ES) estimeras med en
icke-parametrisk metod baserad på historisk simulering med ett rullande fönster på 36
månader. Skillnader mellan fondtyper testas för statistisk signifikans med Mann-Whitney
U-test. Därutöver analyseras riskjusterade avkastningsmått – Sortino-kvoten, Sharpe-
VaR och Sharpe-ES – under båda krisperioderna. Resultaten visar att hedgefonder,
särskilt lång-kort-strategier, uppvisade lägre nedsiderisk och högre riskjusterad
avkastning än övriga fondtyper i båda kriserna. Multistrategi- och fond-i-fond-strategier
presterade däremot svagare. Trots att de övergripande mönstren var robusta varierade
signifikansen mellan jämförelser, och faktorer som geografisk inriktning påverkade i
vissa fall utfallet. Studien indikerar att hedgefonder i vissa fall kan uppfylla sin teoretiska
roll som skydd i marknadsnedgångar, men betonar också hedgefonders heterogenitet och
visar att strategival – även inom samma fondkategori – är avgörande för riskhantering.
Detta har viktiga implikationer för både investerare och beslutsfattare. (Less)
Please use this url to cite or link to this publication:
author
Andersson, Anton LU
supervisor
organization
alternative title
Withstanding the Storm: An Empirical Study of Downside Risk in Hedge Funds and Traditional Funds During Recent Crises
course
NEKH02 20251
year
type
M2 - Bachelor Degree
subject
keywords
Nedsiderisk, Value at Risk, Expected Shortfall, riskjusterad avkastning, hedgefonder
language
Swedish
id
9205917
date added to LUP
2025-09-12 09:14:48
date last changed
2025-09-12 09:14:48
@misc{9205917,
  abstract     = {{This paper investigates downside risk in Nordic hedge funds during the COVID-19 crisis
of 2020 and the post-pandemic inflation crisis of 2022, comparing them to index funds,
balanced funds, and actively managed equity funds. Value at Risk (VaR) and Expected
Shortfall (ES) are estimated using a non-parametric method based on historical
simulation with a rolling 36-month window. Differences across fund types are tested for
statistical significance using the non-parametric Mann-Whitney U test. In addition, risk-
adjusted performance is evaluated through the Sortino ratio, Sharpe-VaR, and Sharpe-ES
across both crisis periods. The findings show that hedge funds – especially long/short
strategies – exhibited lower downside risk and higher risk-adjusted returns than other
fund types during both crises. In contrast, multi-strategy and fund-of-funds structures
delivered weaker performance. While the overall patterns are robust, statistical
significance varied across comparisons, and in some cases, results appear to have been
influenced by geographic allocation. The results suggest that hedge funds, at least under
certain strategies, fulfill their theoretical role as downside protectors during periods of
market stress. At the same time, the pronounced variation in performance highlights the
heterogeneity within the hedge fund category. Strategy selection – even within the same
fund type – is therefore critical for effective risk management, with important
implications for both investors and policymakers.}},
  author       = {{Andersson, Anton}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Att stå emot stormen: en empirisk studie av nedsiderisk bland hedgefonder under covid-19 och inflationschocken}},
  year         = {{2025}},
}